Parameter Estimation in Mean Reversion Processes with Deterministic Long-Term Trend

Figure 2

Dynamic behavior for process , the expected value , and three types of convolution. (a) Moving average with . (b) Pascal’s weights with . (c) Hodrick-Prescott filter with . For all the cases for a total of observations and the parameters of are the same as in Figure 1.

(a)

(b)

(c)